Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) NA NA NA
Score NA NA NA
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.19 0.18 0.18
Idiosyncratic Volatility 0.49 0.45 0.48

Annualized return and volatility

NBMTX
Annualized Return 0.0566
Annualized Std Dev 0.2344
Annualized Sharpe (Rf=0%) 0.2413

Row

Daily Return Statistics

NBMTX
Observations 5112.0000
NAs 2.0000
Minimum -0.1016
Quartile 1 -0.0063
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0074
Maximum 0.1001
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0148
Skewness -0.1114
Kurtosis 5.1464

Downside Risk

NBMTX
Semi Deviation 0.0107
Gain Deviation 0.0103
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.7213
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0229
Modified ES (95%) -0.0375
From Trough To Depth Length To Trough Recovery
2000-03-13 2002-10-09 2012-05-02 -0.7213 3107 658 2449
2015-08-06 2016-02-08 2017-03-01 -0.2608 400 130 270
2018-08-30 2018-12-24 2019-05-03 -0.2502 172 82 90
2014-03-05 2014-10-13 2014-11-06 -0.1110 176 157 19
2012-05-03 2012-07-24 2013-01-15 -0.1096 180 58 122

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec NBMTX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 2.2 1.9 0.0 2.0 6.3 0.0 -0.5 1.1 0.0 1.0 4.0 0.0 19.2
2001 -1.4 -0.1 0.0 0.7 2.1 0.0 0.5 0.0 -1.1 2.2 0.0 0.0 2.9
2002 -0.4 3.2 0.5 0.4 0.0 -3.9 -3.5 0.0 2.0 2.1 0.0 0.0 0.2
2003 0.0 0.0 0.6 0.1 0.0 0.6 -1.1 0.0 2.1 0.0 1.4 0.0 3.8
2004 0.0 1.7 0.6 0.0 0.4 -0.9 0.0 0.8 1.2 -0.1 1.4 0.0 5.1
2005 0.3 0.5 -0.4 0.0 0.4 0.5 0.3 0.2 0.0 0.1 1.9 0.0 3.7
2006 0.2 1.7 0.0 -0.4 1.8 0.0 -1.3 0.6 0.0 -0.9 -0.3 0.0 1.4
2007 0.8 -0.3 0.0 0.1 0.2 0.0 0.1 0.0 1.6 -2.0 0.0 0.0 0.6
2008 2.3 0.0 3.3 0.9 0.0 0.3 -0.1 0.0 -1.5 0.0 -9.0 0.0 -4.1
2009 0.0 0.0 0.6 -0.3 3.0 -0.3 0.0 -1.9 -2.8 0.0 1.5 0.0 -0.2
2010 1.7 1.5 0.8 0.0 -1.7 -0.3 0.0 3.1 0.1 -0.2 2.2 0.0 7.4
2011 1.4 -1.8 0.7 0.0 -2.4 1.6 -0.9 -1.3 0.0 -2.5 0.0 0.0 -5.1
2012 1.4 1.0 0.0 0.6 -3.3 0.0 -0.9 0.0 0.0 1.4 0.0 0.0 0.3
2013 1.2 0.3 -1.1 -1.3 0.0 1.3 2.1 0.0 1.3 0.0 0.0 0.0 3.9
2014 0.0 0.0 1.5 0.2 0.0 1.0 -0.6 0.0 -1.7 0.0 -1.6 0.0 -1.2
2015 0.0 0.0 -0.8 1.1 0.2 0.7 0.0 -2.6 0.3 0.0 0.7 0.0 -0.6
2016 0.3 2.4 0.9 0.0 0.5 0.2 -0.2 0.4 0.0 -0.7 -1.3 0.0 2.5
2017 0.0 1.3 0.0 0.2 1.4 0.0 0.2 0.2 0.0 -0.5 -0.5 0.0 2.4
2018 0.3 -1.0 0.0 0.5 1.4 0.0 0.0 0.0 -0.5 1.9 0.0 0.0 2.5
2019 0.8 0.7 1.2 -0.9 0.0 0.8 -1.1 0.0 -1.2 1.3 0.0 0.1 1.6

Row

Rolling Performance Chart

Snail Trail Chart